Diagnostic of Innovations and Volatility Persistence in Emerging Markets Evidence from Sukuk and Stock Indices
Thispaper analysisthe persistence of shock and volatility of both Islamic and conventional financial markets, as well as the natural correlation between those markets. This study used the Bivariate BEKK-GARCH(1,1) model to examine the persistence of shock and volatilit...
| Published in: | International Journal of Islamic Business and Economics (IJIBEC) |
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| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Faculty of Islamic Economics and Business - Universitas Islam Negeri K.H. Abdurrahman Wahid Pekalongan
2020-12-01
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| Subjects: | |
| Online Access: | http://e-journal.iainpekalongan.ac.id/index.php/IJIBEC/article/view/2355/1765 |
| Summary: | Thispaper analysisthe persistence of shock and volatility of both Islamic and conventional financial markets, as well as the natural correlation between those markets. This study used the Bivariate BEKK-GARCH(1,1) model to examine the persistence of shock and volatility based on the daily prices in Dubai Islamic Capital Market (Sukukindex) and conventional Stock Market (DFM index). The results showed that both Sukukand stock market indices were affected by their own news, while the volatility was persistent duringthe periodof this research. The study also found a negative correlation between pricesin both Sukukand Stock markets during the Dubai debt crisis indicating that Islamic bonds were considered as a good portfolio diversifier. This study definesthe natural correlation between the daily prices of both Sukukand stock market, unlike the other studies which used returns. In addition, the empirical results might be valuable for investors and market makers to ensure a good portfolio diversification strategy |
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| ISSN: | 2599-3216 2615-420X |